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Hi RTs,
There is another good site on the nature of price distribution and
non-linearity of the market. If the article is too long and too
complicated, you only have to read section #9 "Concluding Remarks".
Abstract on Fractal Structure in Agri.Futures:
http://homepages.luc.edu/~tmallia/agr.htm
This article is written by Math. professors and Computer Scientists so
it is not easy to read.
I think the article is good: At least they conclude futures price is
not normal distribution, it is a Pareto-Levy stable distribution. Let
me quote them: "To support our claim that agricultural futures returns
are fractal we offer three pieces of statistical evidence. First, we
conduct tests and reject the hypothesis that returns are normally
distributed. We then estimate the four parameters of the Pareto-Levy
stable distribution. This distribution generalizes the special case of
the normal distribution. Using certain mathematical facts we conclude
that the estimates of the four parameters are consistent with the
conjecture that the stochastic process generating the returns is
fractal.
The second set of tests uses the classical rescaled range analysis by
computing the Hurst exponent. The third test is an extension of the
second using a recent modification poposed by Lo (1991). Using both
these tests, we once again find evidence that returns are fractal. "
Mervin
Peter G wrote:
>
> RTs:
>
> Anyone familiar with this research?
>
> I find the concept of non trend-following methods which switch using their
> Sharpe ratio or some other measure of efficacy very interesting,
> considering how nonlinear the markets are.
>
> http://www.hal-pc.org/~twwright/
>
> PG
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